Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 4 | 3 | 4 |
| Score | 2.3 | 1.33 | 2.15 |
| Market Cap (Millions USD) | 20287.82 | 19948.32 | 19502.66 |
| Predicted Beta | 0.57 | 0.56 | 0.55 |
| Idiosyncratic Volatility | 0.59 | 0.54 | 0.65 |
Annualized return and volatility
| IWR | |
|---|---|
| Annualized Return | 0.0948 |
| Annualized Std Dev | 0.1930 |
| Annualized Sharpe (Rf=0%) | 0.4915 |
Row
Daily Return Statistics
| IWR | |
|---|---|
| Observations | 4690.0000 |
| NAs | 424.0000 |
| Minimum | -0.0941 |
| Quartile 1 | -0.0046 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0062 |
| Maximum | 0.1099 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0001 |
| Stdev | 0.0122 |
| Skewness | -0.2048 |
| Kurtosis | 8.3124 |
Downside Risk
| IWR | |
|---|---|
| Semi Deviation | 0.0089 |
| Gain Deviation | 0.0085 |
| Loss Deviation | 0.0097 |
| Downside Deviation (MAR=210%) | 0.0134 |
| Downside Deviation (Rf=0%) | 0.0087 |
| Downside Deviation (0%) | 0.0087 |
| Maximum Drawdown | 0.5883 |
| Historical VaR (95%) | -0.0181 |
| Historical ES (95%) | -0.0297 |
| Modified VaR (95%) | -0.0182 |
| Modified ES (95%) | -0.0312 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-16 | 2009-03-09 | 2011-02-07 | -0.5883 | 916 | 426 | 490 |
| 2002-03-20 | 2002-10-09 | 2003-09-02 | -0.3226 | 375 | 144 | 231 |
| 2011-07-08 | 2011-10-03 | 2012-03-15 | -0.2417 | 176 | 62 | 114 |
| 2018-08-30 | 2018-12-24 | 2019-04-08 | -0.2122 | 154 | 82 | 72 |
| 2015-04-24 | 2016-02-11 | 2016-07-12 | -0.1942 | 311 | 206 | 105 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IWR | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | 0.0 | -0.8 | 1.2 | 0.0 | 0.0 | 0.4 |
| 2002 | 0.0 | 1.2 | -0.3 | 0.3 | 0.0 | -1.8 | -1.5 | 0.0 | 1.4 | 2.1 | 0.0 | 0.0 | 1.2 |
| 2003 | 0.0 | 0.0 | 0.5 | 0.0 | 0.0 | 0.7 | -0.5 | 0.0 | 1.5 | 0.0 | 1.3 | 0.0 | 3.5 |
| 2004 | 0.0 | 1.2 | 0.6 | 0.0 | 0.4 | -0.9 | 0.0 | 0.4 | 1.5 | 0.1 | 1.5 | 0.0 | 5.0 |
| 2005 | 0.8 | 0.8 | -0.2 | 0.0 | 0.8 | -0.2 | 0.0 | -0.1 | 0.0 | -0.2 | 1.7 | 0.0 | 3.6 |
| 2006 | 0.5 | 0.7 | 0.0 | -0.3 | 1.7 | 0.0 | -0.5 | 0.5 | 0.0 | -0.8 | -0.1 | 0.0 | 1.7 |
| 2007 | 1.1 | -0.6 | 0.0 | 0.3 | 0.4 | 0.0 | 0.3 | 0.0 | 1.5 | -2.3 | 0.0 | 0.0 | 0.5 |
| 2008 | 2.6 | 0.0 | 3.2 | 1.7 | 0.0 | 0.2 | -0.3 | 0.0 | 0.0 | 0.0 | -9.4 | 0.0 | -2.6 |
| 2009 | 0.0 | 0.0 | 1.9 | 0.5 | 3.6 | 0.6 | 0.0 | -2.3 | -3.0 | 0.0 | 1.5 | 0.0 | 2.7 |
| 2010 | 1.8 | 1.6 | 1.1 | 0.0 | -2.5 | -0.3 | 0.0 | 3.3 | 0.3 | -0.1 | 2.1 | 0.0 | 7.5 |
| 2011 | 1.4 | -1.8 | 0.7 | 0.0 | -2.3 | 1.6 | -0.8 | -1.4 | 0.0 | -2.9 | -0.3 | 0.0 | -5.7 |
| 2012 | 1.4 | 0.8 | 0.0 | 0.6 | -3.0 | 0.0 | -0.6 | 0.0 | 0.0 | 1.9 | 0.0 | 0.0 | 1.0 |
| 2013 | 1.0 | 0.2 | -0.8 | -1.2 | 0.0 | 1.0 | 1.8 | 0.0 | 1.1 | 0.3 | 0.0 | 0.0 | 3.3 |
| 2014 | 0.0 | 0.0 | 1.0 | 0.2 | 0.0 | 0.5 | -0.2 | 0.0 | -1.3 | 0.0 | -1.1 | 0.0 | -1.0 |
| 2015 | 0.0 | 0.0 | -0.4 | 1.0 | 0.3 | 0.5 | 0.0 | -2.9 | 0.0 | 0.0 | 0.9 | 0.0 | -0.7 |
| 2016 | 0.3 | 2.2 | 0.5 | 0.0 | 0.3 | 0.2 | -0.4 | 0.1 | 0.0 | -0.9 | -0.6 | 0.0 | 1.7 |
| 2017 | -0.3 | 1.2 | 0.0 | 0.2 | 1.2 | 0.0 | 0.1 | 0.4 | 0.0 | 0.0 | -0.2 | 0.0 | 2.6 |
| 2018 | -0.1 | -0.9 | 0.0 | 0.1 | 0.8 | 0.0 | -0.4 | 0.0 | -0.3 | 1.6 | 0.0 | 0.0 | 0.8 |
| 2019 | 0.4 | 0.6 | 1.1 | -1.0 | 0.0 | 0.8 | -1.2 | 0.0 | -1.4 | 1.2 | 0.0 | 0.1 | 0.6 |
Row
Rolling Performance Chart
Snail Trail Chart
